Results 91 to 100 of about 4,998 (266)

Asymptotic Theory for a Vector ARMA-GARCH Model, [PDF]

This paper investigates the asymptotic theory for a vector ARMA-GARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established.
Michael McAleer, Shiqing Ling
core  

A Conditional Tail Expectation Type Risk Measure for Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source

USE OF THE CROSSCORRELATION FUNCTION IN THE IDENTIFICATION OF ARMA MODELS USO DE LA FUNCIÓN DE CORRELACIÓN CRUZADA EN LA IDENTIFICACIÓN DE MODELOS ARMA

Revista Colombiana de Estadística, 2008
The sample cross-correlation function (SCCF) has been used to study the strength and direction of the linear relation between two jointly stationary stochastic processes.
Castaño Elkin, Martínez Jorge
doaj  

A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes [PDF]

This paper presents an invariance principle for highly nonstationary long memory processes, defined as processes with long memory parameter lying in (1, 1.5).
George Kapetanios
core  

A note on strong mixing of ARMA processes

, 1986
We establish that certain stationary autoregressive moving average (ARMA) processes are strong ...
Athreya, Krishna B., Pantula, Sastry G.
core   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

What do we know about comparing aggregate and disaggregate forecasts? [PDF]

This paper compares the performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously aggregated vector ARMA processes.
SBRANA, Giacomo, SILVESTRINI, Andrea
core  

On a characterization of optimal predictors for nonstationary ARMA processes

, 1991
This note contains a characterization of predictors for nonstationary ARMA processes.
Kowalski, Aleksander, Szynal, Dominik
core   +1 more source

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

Technology drives changes in records management requirements

Acervo, 2015
Today’s businesses depend on technology for creating and managing records and information. Our records management frameworks must shift to embrace technology along with traditional record formats.
Diane K. Carlisle
doaj